Parameter estimation for a linear parabolic SPDE model in two space dimensions with a small noise

Yozo Tonaki, Yusuke Kaino, Masayuki Uchida

Statistical Inference for Stochastic Processes　Vol. 27　No. 1　p. 123-179　2024/04　Research paper (scientific journal)

Statistical inference in factor analysis for diffusion processes from discrete observations

Shogo Kusano, Masayuki Uchida

Journal of Statistical Planning and Inference　Vol. 229　2024/03　Research paper (scientific journal)

Parameter estimation for linear parabolic SPDEs in two space dimensions based on high frequency data

Yozo Tonaki, Yusuke Kaino, Masayuki Uchida

Scandinavian Journal of Statistics　Vol. 50　No. 4　p. 1568-1589　2023/12　Research paper (scientific journal)

Adaptive inference for small diffusion processes based on sampled data

Tetsuya Kawai, Masayuki Uchida

Metrika　Vol. 86　No. 6　p. 643-696　2023/08　Research paper (scientific journal)

Change point inference in ergodic diffusion processes based on high frequency data

Yozo Tonaki, Masayuki Uchida

Stochastic Processes and their Applications　Vol. 158　p. 1-39　2023/04　Research paper (scientific journal)

Estimation for change point of discretely observed ergodic diffusion processes

Yozo Tonaki, Yusuke Kaino, Masayuki Uchida

Scandinavian Journal of Statistics　Vol. 50　No. 1　p. 142-183　2023/03　Research paper (scientific journal)

Adaptive tests for parameter changes in ergodic diffusion processes from discrete observations

Yozo Tonaki, Yusuke Kaino, Masayuki Uchida

Statistical Inference for Stochastic Processes　Vol. 25　No. 2　p. 397-430　2022/07　Research paper (scientific journal)

Statistical inference for stochastic differential equations from discrete observations

Masayuki Uchida

Journal of the Japan Statistical Society　Vol. 51　No. 2　p. 245-273　2022/03　Research paper (scientific journal)

Adaptive testing method for ergodic diffusion processes based on high frequency data

Tetsuya Kawai, Masayuki Uchida

Journal of Statistical Planning and Inference　Vol. 217　p. 241-278　2022/03　Research paper (scientific journal)

Adaptive estimator for a parabolic linear SPDE with a small noise

Yusuke Kaino, Masayuki Uchida

Japanese Journal of Statistics and Data Science　Vol. 4　No. 1　p. 513-541　2021/07　Research paper (scientific journal)

Parametric estimation for a parabolic linear SPDE model based on discrete observations

Yusuke Kaino, Masayuki Uchida

Journal of Statistical Planning and Inference　Vol. 211　p. 190-220　2021/03　Research paper (scientific journal)

Quasi-likelihood analysis and Bayes-type estimators of an ergodic diffusion plus noise

Shogo H. Nakakita, Yusuke Kaino, Masayuki Uchida

Annals of the Institute of Statistical Mathematics　Vol. 73　No. 1　p. 177-225　2021/02　Research paper (scientific journal)

Inference for Convolutionally Observed Diffusion Processes

Shogo H Nakakita, Masayuki Uchida

Entropy　Vol. 22　No. 9　p. 1031-1031　2020/09/15　Research paper (scientific journal)

Hybrid estimation for ergodic diffusion processes based on noisy discrete observations

Yusuke Kaino, Shogo H. Nakakita, Masayuki Uchida

STATISTICAL INFERENCE FOR STOCHASTIC PROCESSES　Vol. 23　No. 1　p. 171-198　2020/04　Research paper (scientific journal)

Adaptive test for ergodic diffusions plus noise

Shogo H. Nakakita, Masayuki Uchida

JOURNAL OF STATISTICAL PLANNING AND INFERENCE　Vol. 203　p. 131-150　2019/12　Research paper (scientific journal)

Inference for ergodic diffusions plus noise

Shogo H. Nakakita, Masayuki Uchida

SCANDINAVIAN JOURNAL OF STATISTICS　Vol. 46　No. 2　p. 470-516　2019/06　Research paper (scientific journal)

Hybrid estimators for small diffusion processes based on reduced data

Yusuke Kaino, Masayuki Uchida

METRIKA　Vol. 81　No. 7　p. 745-773　2018/10　Research paper (scientific journal)

Hybrid estimators for stochastic differential equations from reduced data

Yusuke Kaino, Masayuki Uchida

STATISTICAL INFERENCE FOR STOCHASTIC PROCESSES　Vol. 21　No. 2　p. 435-454　2018/07　Research paper (scientific journal)

HYBRID ESTIMATION FOR AN ERGODIC DIFFUSION PROCESS BASED ON REDUCED DATA

Yusuke Kaino, Masayuki Uchida, Yuto Yoshida

Bulletin of informatics and cybernetics　Vol. 49　p. 89-118　2017/12　Research paper (scientific journal)

Hybrid estimation for stochastic differential equations based on high-frequency data

Masayuki Uchida

Proceedings of the Institute of Statistical Mathematics　Vol. 65　No. 1　p. 39-69　2017　Research paper (scientific journal)

HYBRID MULTI-STEP ESTIMATION OF THE VOLATILITY FOR STOCHASTIC REGRESSION MODELS

Kengo Kamatani, Akihiro Nogita, Masayuki Uchida

Bulletin of informatics and cybernetics　Vol. 48　p. 19-35　2016/12　Research paper (scientific journal)

Model selection for volatility prediction

Masayuki Uchida, Nakahiro Yoshida

The Fascination of Probability, Statistics and their Applications　p. 343-360　2016

Adaptive Bayes Estimators and Hybrid Estimators for Small Diffusion Processes Based on Sampled Data

Ryosuke Nomura, Masayuki Uchida

JOURNAL OF THE JAPAN STATISTICAL SOCIETY　Vol. 46　No. 2　p. 129-154　2016　Research paper (scientific journal)

Hybrid multi-step estimators for stochastic differential equations based on sampled data

Kengo Kamatani, Masayuki Uchida

Statistical Inference for Stochastic Processes　Vol. 18　No. 2　p. 177-204　2015/07　Research paper (scientific journal)

AIC type statistics for discretely observed ergodic diffusion processes

Takayuki Fujii, Masayuki Uchida

Statistical Inference for Stochastic Processes　Vol. 17　No. 3　p. 267-282　2014/10　Research paper (scientific journal)

Adaptive Bayes type estimators of ergodic diffusion processes from discrete observations

Masayuki Uchida, Nakahiro Yoshida

Statistical Inference for Stochastic Processes　Vol. 17　No. 2　p. 181-219　2014/07　Research paper (scientific journal)

Adaptive test statistics for ergodic diffusion processes sampled at discrete times

Hayato Kitagawa, Masayuki Uchida

JOURNAL OF STATISTICAL PLANNING AND INFERENCE　Vol. 150　p. 84-110　2014/07　Research paper (scientific journal)

The YUIMA Project: A Computational Framework for Simulation and Inference of Stochastic Differential Equations

Alexandre Brouste, Masaaki Fukasawa, Hideitsu Hino, Stefano M. Iacus, Kengo Kamatani, Yuta Koike, Hiroki Masuda, Ryosuke Nomura, Teppei Ogihara, Yasutaka Shimuzu, Masayuki Uchida, Nakahiro Yoshida

JOURNAL OF STATISTICAL SOFTWARE　Vol. 57　No. 4　p. 1-51　2014/03　Research paper (scientific journal)

Quasi likelihood analysis of volatility and nondegeneracy of statistical random field

Masayuki Uchida, Nakahiro Yoshida

STOCHASTIC PROCESSES AND THEIR APPLICATIONS　Vol. 123　No. 7　p. 2851-2876　2013/07　Research paper (scientific journal)

Statistical modeling for stochastic differential equations

Masayuki Uchida

Journal of the Japan Statistical Society, Japanese Issue　Vol. 43　No. 2　p. 335-358　2013

Adaptive estimation of an ergodic diffusion process based on sampled data

Masayuki Uchida, Nakahiro Yoshida

STOCHASTIC PROCESSES AND THEIR APPLICATIONS　Vol. 122　No. 8　p. 2885-2924　2012/08　Research paper (scientific journal)

Statistical inference for diffusion processes from discrete observations

Masayuki Uchida

Sugaku Expositions　Vol. 24　p. 169-181　2011

ESTIMATION FOR MISSPECIFIED ERGODIC DIFFUSION PROCESSES FROM DISCRETE OBSERVATIONS

Masayuki Uchida, Nakahiro Yoshida

ESAIM-PROBABILITY AND STATISTICS　Vol. 15　p. 270-290　2011/01　Research paper (scientific journal)

Contrast-based information criterion for ergodic diffusion processes from discrete observations

Masayuki Uchida

ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS　Vol. 62　No. 1　p. 161-187　2010/02　Research paper (scientific journal)

Parametric estimation for partially hidden diffusion processes sampled at discrete times

Stefano Maria Iacus, Masayuki Uchida, Nakahiro Yoshida

STOCHASTIC PROCESSES AND THEIR APPLICATIONS　Vol. 119　No. 5　p. 1580-1600　2009/05　Research paper (scientific journal)

Estimation of a drift parameter for a small diffusion process

Masayuki Uchida

Proceedings of the Institute of Statistical Mathematics　Vol. 57　No. 1　p. 67-81　2009

Approximate martingale estimating functions for stochastic differential equations with small noises

Masayuki Uchida

STOCHASTIC PROCESSES AND THEIR APPLICATIONS　Vol. 118　No. 9　p. 1706-1721　2008/09　Research paper (scientific journal)

確率微分方程式の母数推定

Masayuki Uchida

Statistical Sciences in the 21st Century III　p. 179-206　2008

離散観測に基づく拡散過程の統計的推測

内田雅之

数学　Vol. 60　No. 4　p. 368-379　2008

MARTINGALE ESTIMATING FUNCTIONS BASED ON EIGENFUNCTIONS FOR DISCRETELY OBSERVED SMALL DIFFUSIONS

Masayuki Uchida

Bulletin of informatics and cybernetics　Vol. 38　p. 1-13　2006/12　Research paper (scientific journal)

Asymptotic expansion and information criteria

Masayuki Uchida, Nakahiro Yoshida

SUT Journal of Mathematics　Vol. 42　No. 1　p. 31-58　2006

Estimation for Discretely Observed Small Diffusions Based on Approximate Martingale Estimating Functions

Masayuki Uchida

Scandinavian Journal of Statistics　Vol. 31　No. 4　p. 553-566　2004/12　Research paper (scientific journal)

MINIMUM CONTRAST ESTIMATION FOR DISCRETELY OBSERVED DIFFUSION PROCESSES WITH SMALL DISPERSION PARAMETER

Masayuki Uchida

Bulletin of informatics and cybernetics　Vol. 36　p. 35-49　2004/12　Research paper (scientific journal)

Information Criteria for Small Diffusions via the Theory of Malliavin–Watanabe

Masayuki Uchida, Nakahiro Yoshida

Statistical Inference for Stochastic Processes　Vol. 7　No. 1　p. 35-67　2004　Research paper (scientific journal)

Asymptotic Expansion for Small Diffusions Applied to Option Pricing

Masayuki Uchida, Nakahiro Yoshida

Statistical Inference for Stochastic Processes　Vol. 7　No. 3　p. 189-223　2004　Research paper (scientific journal)

Small-diffusion asymptotics for discretely sampled stochastic differential equations

Michael Sørensen, Masayuki Uchida

Bernoulli　Vol. 9　No. 6　p. 1051-1069　2003/12/01　Research paper (scientific journal)

Estimation for Dynamical Systems with Small Noise from Discrete Observations

Masayuki Uchida

JOURNAL OF THE JAPAN STATISTICAL SOCIETY　Vol. 33　No. 2　p. 157-167　2003　Research paper (scientific journal)

Information criteria in model selection for mixing processes

Masayuki Uchida, Nakahiro Yoshida

Statistical Inference for Stochastic Processes　Vol. 4　No. 1　p. 73-98　2001　Research paper (scientific journal)

On Generating Functions of Waiting Time Problems for Sequence Patterns of Discrete Random Variables

Masayuki Uchida

Annals of the Institute of Statistical Mathematics　Vol. 50　No. 4　p. 655-671　1998/12　Research paper (scientific journal)

On Number of Occurrences of Success Runs of Specified Length in a Higher-Order Two-State Markov Chain

Masayuki Uchida

Annals of the Institute of Statistical Mathematics　Vol. 50　No. 3　p. 587-601　1998/09　Research paper (scientific journal)

Joint Distributions of Numbers of Success-runs Until the First Consecutive k Successes in a Higher-Order Two-State Markov Chain

Masayuki Uchida

Annals of the Institute of Statistical Mathematics　Vol. 50　No. 2　p. 203-222　1998/06　Research paper (scientific journal)

Distributions of numbers of success-runs until the first consecutive k successes in higher order Markov dependent trials

Katuomi Hirano, Sigeo Aki, Masayuki Uchida

Advances in Combinatorial Methods and Applications to Probability and Statistics　p. 401-410　1997

Discrete distribution theory in a higher-order Markov chain

Masayuki Uchida

Proceedings of the Institute of Statistical Mathematics　Vol. 47　No. 1　p. 91-104　1997

Sooner and later waiting time problems in a two-state Markov chain

Masayuki Uchida, Sigeo Aki

Annals of the Institute of Statistical Mathematics　Vol. 47　No. 3　p. 415-433　1995/09　Research paper (scientific journal)

ORDER STATISTICS WITH DISCRETE DISTRIBUTIONS AND PROBABILITY THAT TIES OCCUR SOMEWHERE

Masayuki Uchida

Journal of the Japanese Society of Computational Statistics　Vol. 7　No. 1　p. 47-56　1994　Research paper (scientific journal)